Distribution-Invariant Risk Measures, Entropy, and Large Deviations (Q5443699): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1239/jap/1175267161 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1967355270 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4267848 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: I-divergence geometry of probability distributions and minimization problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4550909 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4391441 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4550910 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic finance. An introduction in discrete time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probabilistic Error Bounds for Simulation Quantile Estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Law invariant risk measures have the Fatou property / rank
 
Normal rank
Property / cites work
 
Property / cites work: Foundations of Modern Probability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4552656 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integral Representation Without Additivity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3410215 / rank
 
Normal rank
Property / cites work
 
Property / cites work: DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 17:33, 27 June 2024

scientific article; zbMATH DE number 5238080
Language Label Description Also known as
English
Distribution-Invariant Risk Measures, Entropy, and Large Deviations
scientific article; zbMATH DE number 5238080

    Statements

    Distribution-Invariant Risk Measures, Entropy, and Large Deviations (English)
    0 references
    0 references
    22 February 2008
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    risk measure
    0 references
    average value at risk
    0 references
    shortfall risk
    0 references
    Monte Carlo
    0 references
    large deviations principle
    0 references
    Sanov's theorem
    0 references
    relative entropy
    0 references
    0 references